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Regular version of the site

119049 Moscow, Russia
11 Pokrovskiy boulevard, room S629


+7 (495) 772-95-90*27447, *27947, *27190
+7 (495) 916-88-08 (Master’s Programme Corporate Finance)

- Email: df@hse.ru


Head of the School Irina Ivashkovskaya

Head of Corporate Finance Research Center, Dr., tenured professor

Райн Анна Сергеевна
Administrator Райн Анна Сергеевна

+7495-772-95-90 (add. 27447)

Tatyana Gennadevna Lipatova
Administrator Tatyana Gennadevna Lipatova

+7495-772-95-90 (add. 27947)

Research seminar “Empirical Researches of Corporate Finance”


Irina Ivashkovskaya

Professor, Head of School of finance


The seminar is a platform for discussing relevant questions and results of empirical researches into corporate finance. The seminar is obligatory for doctoral students of the School of Finance for testing the result of their researches.

General information

Schedule of the Research seminar "Empirical Research of Corporate Finance"


25/03/2024 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Victoria Rodina, Senior Lecturer of the Department of Financial Market Infrastructure

Theme: Optimal solution for immunizing arbitrarily scheduled multiple liabilities

Abstract: Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve, or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.

Working language: Russian

Zoom linkhttps://zoom.us/j/92391762969?pwd=RzhGUllNalFBaHNxZEFEOFdBTzJPdz09

Conference ID: 923 9176 2969

Access Code: 779141


21/10/2023 17:00 online Research Seminar «Empirical Research in Corporate Finance»

Veronika Vinogradova, PhD, Senior Lecturer of the School of Finance

Topic«The upside-down world of value capture. Do companies in technology sector follow the principles of profitable growth?»

Working language: English.

Zoom Link: https://zoom.us/j/97190057075?pwd=cmNxcXl4K3B5V0wxTlV4VWkvZW5nUT09

Conference ID: 971 9005 7075

Access Code: 786250




2019 - 2020